IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/26836.html
   My bibliography  Save this paper

Riesgo crediticio derivado del riesgo cambiario: Perspectiva de una Economía Latinoamericana Parcialmente Dolarizada
[Derivative credit risk from exchange risk: Perspective of a partially dollarized Latin American economy]

Author

Listed:
  • Jiménez Sotelo, Renzo

Abstract

Traditional risk definitions, based on supervisor’s point of view, don’t behold explicitly the existence and interaction of other important risks such as derivative credit risks from other unsecured risk by debtors of bank system in economies partially “dollarized”. One of these critical risks is derivative credit risk from exchange risk, which hasn’t been stated directly in doctrine proposed by Basel Committee. This paper settles basic criteria to analyze this risk and describes the principal consequences of issuing debt in a different currency, over credit rating, provisions and the economic capital that must be assigned in the financial entities (whose customers debt show gap currency). These regulations encourage introducing as soon as possible aggressive mechanisms of global and quantitative management of risk into the financial system, non-existent in countries like Peru.

Suggested Citation

  • Jiménez Sotelo, Renzo, 2003. "Riesgo crediticio derivado del riesgo cambiario: Perspectiva de una Economía Latinoamericana Parcialmente Dolarizada
    [Derivative credit risk from exchange risk: Perspective of a partially dollarize
    ," MPRA Paper 26836, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:26836
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/26836/1/MPRA_paper_26836.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Nadeem Ul Haque & Manmohan S. Kumar & Nelson Mark & Donald J. Mathieson, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Staff Papers, Palgrave Macmillan, vol. 43(4), pages 688-724, December.
    2. Rossini Miñán, Renzo, 2001. "Aspectos de la adopción de un régimen de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 7.
    3. Lama, Ruy, 2002. "Administración del riesgo cambiario en el sistema bancario peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 8, pages 155-181.
    4. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
    5. Jiménez Sotelo, Renzo, 2001. "Perú: Una economía estrangulada por el descalce entre la dolarización de los pasivos financieros y la solarización del poder adquisitivo de sus agentes económicos
      [Peru: An economy strangled by the
      ," MPRA Paper 26615, University Library of Munich, Germany, revised 31 Dec 2001.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Renzo Jiménez Sotelo, 2010. "Ciclo crediticio y acelerador cambiario: evidencia empírica y consecuencias para la regulación prudencial," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 33(65), pages 133-176.
    2. Dancourt, Óscar & Jiménez Sotelo, Renzo, 2010. "Perú: Lecciones de la recesión de 2008-2009
      [Peru: Lessons from the recession of 2008-2009]
      ," MPRA Paper 74889, University Library of Munich, Germany.
    3. Renzo Jiménez Sotelo, 2009. "Acceso de la banca de desarrollo al banco central: el caso de COFIDE y las tasas de interés en Perú," Boletín, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 119-138, Julio-sep.

    More about this item

    Keywords

    Dolarización; Riesgo crediticio derivado del riesgo cambiario; Sistema bancario; Capital regulatorio; Provisiones por incobrables; Gestión del riesgo; Vectores autorregresivos;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:26836. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.